How does importance sampling work in machine learning and what are its key applications?

I’m trying to understand the importance sampling and how it can be applied in machine learning. Can someone explain the concept of importance sampling and how it can be used in practical applications? Are there any libraries in Python that can be used to implement importance sampling? Can someone provide a code example of how to implement importance sampling in Python?

This is just one example of how importance sampling can be in practice. Can someone provide more insight on this?